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    题名: Forward-Looking Information on Growth and Uncertainty Implied by Derivative Securities: Evidence from an Emerging Market
    作者: 顏佑銘
    Yen, Yu-Min
    贡献者: 國貿系
    关键词: Implied dividend;Risk neutral kurtosis;Risk neutral skewness;Variance risk premium
    日期: 2019-03
    上传时间: 2020-02-26 15:24:34 (UTC+8)
    摘要: In this paper, we investigate investors` expectations on economic growth and uncertainty risk implied by derivative securities. Empirical evidence on investors’ expectations implied by derivative securities has been intensively studied in the U.S. and other developed markets, however, such evidence still seems to be rare for emerging markets. Using high frequency data of the Taiwan Stock Exchange (TAIEX) weighted index and its derivatives from Jan-02-2003 to Dec-31-2014, we construct time series of implied dividends, variance risk premium and higher risk-neutral moments. We find that term structure of the implied dividend yield and variance risk premium have some abilities on predicting the excess return of the TAIEX weighted index and growth of industrial production index of Taiwan. We also demonstrate that there is a strong and positive relation between the risk-neutral skewness and options slope, which is in line with what previous literature found in the U.S. stock market.
    關聯: International Review of Economics and Finance, Vol.62, pp.240-266
    数据类型: article
    DOI 連結: https://doi.org/10.1016/j.iref.2019.03.008
    DOI: 10.1016/j.iref.2019.03.008
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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